We review our progress in developing single-mode tellurite glass holey fiber for infrared nonlinear applications. Tellurite glass preforms with complex holey structure were fabricated by using glass extrusion technique. The fabrication of single-mode tellurite holey fibers with the effective mode area ranging from 2.6-3000mm2 and the effective nonlinearity γ ranging from 0.23- 280W-1km-1 were demonstrated. By controlling the microstructured features in the holey cladding, the dispersion profile and the zero dispersion wavelength of this type of single-material optical fiber were tailored within a broad range. Broadband supercontinuum spectra from 0.9 to 2.5mm were generated from the fabricated fibers by using femtosecond laser. Attenuations due to the impurities, such as transition metal ions, rare-earth ions and hydroxyl groups, were also investigated in the bulk tellurite glass and fiber from visible to mid-infrared regimes.